So you've connected to Exchange with PowerShell, but what about the Security & Compliance Center?

$UPN = "<Do a UPN here>"

$MFAExchangeModule = ((Get-ChildItem -Path $($env:LOCALAPPDATA+"\Apps\2.0\") -Filter CreateExoPSSession.ps1 -Recurse ).FullName | Select-Object -Last 1)
. "$MFAExchangeModule"
Connect-IPPSSession -UserPrincipalName $UPN